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Workshop8

*The author of this computation has been verified*

R Software Module: /rwasp_autocorrelation.wasp (opens new window with default values)

Title produced by software: (Partial) Autocorrelation Function

Date of computation: Fri, 27 Nov 2009 04:09:32 -0700

Cite this page as follows:

Statistical Computations at FreeStatistics.org, Office for Research Development and Education, URL http://www.freestatistics.org/blog/date/2009/Nov/27/t12593202756vzosnifkno48vc.htm/, Retrieved Fri, 27 Nov 2009 12:11:18 +0100

BibTeX entries for LaTeX users:

@Manual{KEY,
    author = {{YOUR NAME}},
    publisher = {Office for Research Development and Education},
    title = {Statistical Computations at FreeStatistics.org, URL http://www.freestatistics.org/blog/date/2009/Nov/27/t12593202756vzosnifkno48vc.htm/},
    year = {2009},
}
@Manual{R,
    title = {R: A Language and Environment for Statistical Computing},
    author = {{R Development Core Team}},
    organization = {R Foundation for Statistical Computing},
    address = {Vienna, Austria},
    year = {2009},
    note = {{ISBN} 3-900051-07-0},
    url = {http://www.R-project.org},
}

Original text written by user:

IsPrivate?

No (this computation is public)

User-defined keywords:

Dataseries X:

» Textbox « » Textfile « » CSV «

5.4 5.4 5.6 5.7 5.8 5.8 5.8 5.9 6.1 6.4 6.4 6.3 6.2 6.2 6.3 6.4 6.5 6.6 6.6 6.6 6.8 7 7.2 7.3 7.5 7.6 7.6 7.7 7.7 7.7 7.7 7.6 7.7 7.9 7.9 7.9 7.8 7.6 7.4 7 7 7.2 7.5 7.8 7.8 7.7 7.6 7.6 7.5 7.5 7.6 7.6 7.9 7.6 7.5 7.5 7.6 7.7 7.8 7.9 7.9

Output produced by software:

Summary of computational transaction
Raw Input	view raw input (R code)
Raw Output	view raw output of R engine
Computing time	1 seconds
R Server	'Gwilym Jenkins' @ 72.249.127.135

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	0.526385	3.6469	0.000326
2	0.076123	0.5274	0.300174
3	-0.296803	-2.0563	0.022606
4	-0.449209	-3.1122	0.001563
5	-0.206515	-1.4308	0.079486
6	-0.044602	-0.309	0.379325
7	0.136454	0.9454	0.1746
8	0.34048	2.3589	0.011223
9	0.284552	1.9714	0.027227
10	0.029543	0.2047	0.419343
11	-0.220489	-1.5276	0.066589
12	-0.433767	-3.0052	0.002105
13	-0.337704	-2.3397	0.011754
14	-0.144398	-1.0004	0.161063
15	-0.052163	-0.3614	0.359695
16	0.110133	0.763	0.224592
17	0.129243	0.8954	0.187515
18	0.155245	1.0756	0.143748
19	0.103911	0.7199	0.237533
20	-0.029735	-0.206	0.418828
21	-0.12165	-0.8428	0.201756
22	-0.151161	-1.0473	0.150109
23	-0.099509	-0.6894	0.24694
24	-0.019142	-0.1326	0.447523
25	0.084195	0.5833	0.281205
26	0.103688	0.7184	0.238005
27	0.129307	0.8959	0.187398
28	0.04658	0.3227	0.374156
29	-0.064095	-0.4441	0.329496
30	-0.124617	-0.8634	0.196113
31	-0.149151	-1.0334	0.153309
32	-0.033563	-0.2325	0.408557
33	0.036849	0.2553	0.399792
34	0.115301	0.7988	0.214162
35	0.078899	0.5466	0.293584
36	0.014165	0.0981	0.461115

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.526385	3.6469	0.000326
2	-0.277981	-1.9259	0.030025
3	-0.302354	-2.0948	0.020747
4	-0.180935	-1.2536	0.108038
5	0.200175	1.3869	0.085947
6	-0.151333	-1.0485	0.149837
7	0.040391	0.2798	0.390403
8	0.296025	2.0509	0.022877
9	0.005751	0.0398	0.484191
10	-0.302913	-2.0986	0.020567
11	-0.001344	-0.0093	0.496305
12	-0.093786	-0.6498	0.259469
13	-0.115602	-0.8009	0.213565
14	-0.133353	-0.9239	0.180081
15	-0.164964	-1.1429	0.129374
16	-0.008002	-0.0554	0.478008
17	-0.057281	-0.3969	0.346617
18	0.097196	0.6734	0.251963
19	0.024027	0.1665	0.434245
20	0.096029	0.6653	0.25452
21	-0.043571	-0.3019	0.382029
22	-0.07526	-0.5214	0.302236
23	-0.01839	-0.1274	0.449574
24	-0.081263	-0.563	0.288025
25	-0.058777	-0.4072	0.342828
26	-0.124988	-0.8659	0.195415
27	-0.029122	-0.2018	0.420478
28	-0.10414	-0.7215	0.237051
29	-0.062798	-0.4351	0.332729
30	-0.001705	-0.0118	0.495312
31	0.023281	0.1613	0.436269
32	0.07113	0.4928	0.312198
33	-0.040925	-0.2835	0.388992
34	0.057633	0.3993	0.345725
35	-0.096339	-0.6675	0.253839
36	-0.075619	-0.5239	0.301378

Charts produced by software:

http://www.freestatistics.org/blog/date/2009/Nov/27/t12593202756vzosnifkno48vc/153re1259320170.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/27/t12593202756vzosnifkno48vc/153re1259320170.ps (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/27/t12593202756vzosnifkno48vc/2zh4i1259320170.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/27/t12593202756vzosnifkno48vc/2zh4i1259320170.ps (open in new window)

Parameters (Session):

par1 = 36 ; par2 = 1 ; par3 = 1 ; par4 = 1 ; par5 = 12 ; par6 = MA ; par7 = 0.95 ;

Parameters (R input):

par1 = 36 ; par2 = 1 ; par3 = 1 ; par4 = 1 ; par5 = 12 ; par6 = MA ; par7 = 0.95 ;

R code (references can be found in the software module):

if (par1 == 'Default') {

par1 = 10*log10(length(x))

} else {

par1 <- as.numeric(par1)

}

par2 <- as.numeric(par2)

par3 <- as.numeric(par3)

par4 <- as.numeric(par4)

par5 <- as.numeric(par5)

if (par6 == 'White Noise') par6 <- 'white' else par6 <- 'ma'

par7 <- as.numeric(par7)

if (par2 == 0) {

x <- log(x)

} else {

x <- (x ^ par2 - 1) / par2

}

if (par3 > 0) x <- diff(x,lag=1,difference=par3)

if (par4 > 0) x <- diff(x,lag=par5,difference=par4)

bitmap(file='pic1.png')

racf <- acf(x, par1, main='Autocorrelation', xlab='time lag', ylab='ACF', ci.type=par6, ci=par7, sub=paste('(lambda=',par2,', d=',par3,', D=',par4,', CI=', par7, ', CI type=',par6,')',sep=''))

dev.off()

bitmap(file='pic2.png')

rpacf <- pacf(x,par1,main='Partial Autocorrelation',xlab='lags',ylab='PACF')

dev.off()

(myacf <- c(racf$acf))

(mypacf <- c(rpacf$acf))

lengthx <- length(x)

sqrtn <- sqrt(lengthx)

load(file='createtable')

a<-table.start()

a<-table.row.start(a)

a<-table.element(a,'Autocorrelation Function',4,TRUE)

a<-table.row.end(a)

a<-table.row.start(a)

a<-table.element(a,'Time lag k',header=TRUE)

a<-table.element(a,hyperlink('http://www.xycoon.com/basics.htm','ACF(k)','click here for more information about the Autocorrelation Function'),header=TRUE)

a<-table.element(a,'T-STAT',header=TRUE)

a<-table.element(a,'P-value',header=TRUE)

a<-table.row.end(a)

for (i in 2:(par1+1)) {

a<-table.row.start(a)

a<-table.element(a,i-1,header=TRUE)

a<-table.element(a,round(myacf[i],6))

mytstat <- myacf[i]*sqrtn

a<-table.element(a,round(mytstat,4))

a<-table.element(a,round(1-pt(abs(mytstat),lengthx),6))

a<-table.row.end(a)

}

a<-table.end(a)

table.save(a,file='mytable.tab')

a<-table.start()

a<-table.row.start(a)

a<-table.element(a,'Partial Autocorrelation Function',4,TRUE)

a<-table.row.end(a)

a<-table.row.start(a)

a<-table.element(a,'Time lag k',header=TRUE)

a<-table.element(a,hyperlink('http://www.xycoon.com/basics.htm','PACF(k)','click here for more information about the Partial Autocorrelation Function'),header=TRUE)

a<-table.element(a,'T-STAT',header=TRUE)

a<-table.element(a,'P-value',header=TRUE)

a<-table.row.end(a)

for (i in 1:par1) {

a<-table.row.start(a)

a<-table.element(a,i,header=TRUE)

a<-table.element(a,round(mypacf[i],6))

mytstat <- mypacf[i]*sqrtn

a<-table.element(a,round(mytstat,4))

a<-table.element(a,round(1-pt(abs(mytstat),lengthx),6))

a<-table.row.end(a)

}

a<-table.end(a)

table.save(a,file='mytable1.tab')

This work is licensed under a Creative Commons Attribution-Noncommercial-Share Alike 3.0 License.

Software written by Ed van Stee & Patrick Wessa

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